The Dullahan is a monster originating from the Irish branch of Celtic mythology, a malevolent psychopomp that takes the form of a decapitated human horseman who carries his (or her, female dullahans have also been reported) hideously ugly head in one hand. Sometimes it takes the form of a coachman, driving a twisted wagon adorned with funeral objects: it has candles in skulls to light the way, the spokes of the wheels are made from thigh bones, and the wagon's covering is made from a worm-chewed pall or dried human skin. Both versions are known to wield whips made from human spines.
Like its close cousin, the Banshee, the Dullahan is a pyschopomp - an emissary of death that rides out to encounter people at the moment of their death, either splashing them with human blood or calling out their names to signal that they have been fated to perish. Also like the banshee, whilst considered a fey of the Unseelie Court in its native mythology, in /tg/ circles, it is often changed to an undead creature, due to its visual similarities with the "Headless Horseman" ghost.
It also has monstergirls, because of course it does.
In 5e's Van Richten’s Guide to Ravenloft, Dullahan are powerful undead of decapitated villains who let vengeance consume them. They a stronger version to wights, usually hunting for head-related objects when not on a general murder-revenge spree, either looking its old skull or finding a new one (decapitation is often involved).
Stats wise, a Dullahan is if you want to throw a Death Knight at a lower level party but still just as dangerous, able to decapitate a PC and a failed Constitution save, on top of getting legendary actions, Legendary Resistances, and has a phase 2 where it summons 3 Death’s Heads.